Computational Finance

Selected Publications:
  1. (2006) Hung-Ching (Justin) Chen, Malik Magdon-Ismail, "Learning Martingale Measures From High Frequency Finiancial Data to Help Option Pricing",
    5th International Conference on Computational Intelligence in Economics and Finance (CIEF 2006) in conjunction with 9th Joint Conference on Information Sciences (JCIS 2006) October 8 - 11, Kaohsiung, Taiwan, ROC,
    postscript, pdf. Slides: postscript, pdf.

  2. (2006) Hung-Ching (Justin) Chen, Malik Magdon-Ismail, "NN-OPT: Neural Networks for Option Pricing Using Multinomial Trees",
    The 13th International Conference on Neural Information Processing (ICONIP2006), October 3-6, Hong Kong.
    postscript, pdf. Slides: postscript, pdf.

  3. (2005) Hung-Ching (Justin) Chen, Malik Magdon-Ismail,
    "Learning Martingale Measures to Price Options",
    1st Workshop on Machine Learning in Finance at NIPS 2005 Vancouver/Whistler, Dec 9, 2005.
    postscript, pdf. Slides: postscript, pdf.

  4. (2004) Victor Boyarshinov, Malik Magdon-Ismail
    "Efficient Computation of Optimal Trading Strategies",
    submitted to Quantitative Finance.
    postscript , pdf.

  5. (2004) Malik Magdon-Ismail, Amir F. Atiya,
    "Maximum Drawdown",
    Risk Magazine, Volume 17, Number 10, pages 99-102, October, 2004.
    postscript (preprint) , pdf (preprint).
    Print Version.

  6. (2003) Malik Magdon-Ismail
    "Pricing the American Put Using a New Class of Tight Lower Bounds",
    International Conference on Computational Intelligence for Financial Engineering (CIFEr 03), Hong Kong, March 2003.
    postscript, pdf.
    American Option Data

  7. (2003) Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap, and Yaser S. Abu-Mostafa
    "On the Maximum Drawdown of a Brownian Motion", Journal of Applied Probability, Volume 41, Number 3, March, 2004.
    postscript , pdf.
    "Q()" functions that govern the Expected Maximum Drawdown.

  8. (2001)Malik Magdon-Ismail
    "The Equivalent Martingale Measure: An Introduction to Pricing Using Expectations",
    IEEE Transactions on Neural Networks, Volume 12, Number 4, pp 684-693, July 2001.
    postscript , pdf.

  9. (2000) Malik Magdon-Ismail and Amir F. Atiya
    "Volatility Estimation Using High, Low and Close Data - A Maximum Likelihood Approach",
    Computational Finance (CF2000), Proceedings, June 2000.
    postscript, pdf.

  10. (2000) Malik Magdon-Ismail and Amir F. Atiya
    "Pricing the quality option for the bond futures contract in a multifactor Vasicek framework",
    Proceedings of the 16th IMACS World Congress, Lausanne, Switzerland, August 2000.
    postscript, pdf.

  11. (1999) Malik Magdon-Ismail and Amir Atiya,
    "A Bayesian Approach to Estimating Mutual Fund Returns",
    Computational Finance (CF99), eds Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo and Andreas S. Weigend, MIT Press, 1999.
    postscript, pdf.

  12. (1998) Malik Magdon-Ismail, Alexander Nicholson and Yaser Abu-Mostafa,
    "Financial Markets, Very Noisy Information Processing",
    Proceedings of the IEEE, Special Issue on Intelligent Signal Processing, Volume 86, Number 11, pp 2184-2195, November 1998.
    postscript , pdf.
    addendum to definition A.1, postcript , pdf.

  13. (1998) Malik Magdon-Ismail and Yaser Abu-Mostafa,
    "Validation of Volatility Models",
    Journal of Forecasting, Volume 17, pp 349-368, 1998, (submitted 1996).
    postscript , pdf.